چکیده:
Using a bivariate GARCH model, we investigate the causal
relationships between inflation, growth, inflation uncertainty
(nominal uncertainty) and output uncertainty (real uncertainty) for
seasonally adjusted quarterly data in Iran. Our results indicate that
increased inflation is associated with higher nominal uncertainty.
Further, we found that higher output uncertainty increases both inflation
and growth. Increased growth, in turn, is associated with higher real
uncertainty. We found no strong evidence in favor of other causal
relationships which we have tested. These results support the argument
of a price stability objective for the monetary authority. To mitigate the
harmful effects of real uncertainty, Iran should take policy measures to
withstand adverse domestic and external shocks and lessen their
exposure to the volatility.
خلاصه ماشینی:
"Since there is no data for real and nominal uncertainties our estimated model is used to generate the conditional variances of inflation and output growth as proxies of inflation and output growth uncertainty, respectively, and perform Granger-causality tests.
Using the well-known Barro– Gordon model, Cukierman and Meltzer show that an increase in uncertainty about money growth and inflation will raise the optimal average inflation rate because it provides an incentive to the policymaker to create an inflation surprise in order to stimulate output growth.
Using the Barro–Gordon model, Deveraux(1989) shows that higher output growth uncertainty reduces the optimal amount of wage indexation and induces the policymaker to engineer more inflation surprises in order to obtain favorable real effects.
Table 1: Casual relationship between the variables Sign Hypothesis + - + - Inflation causes output growth Mundell-Tobin effect, Bruno and Easterday (1998) Jones and Manuelli (1995),De Gregorio (1993) and Barro (1996) Inflation causes inflation uncertainty Friedman(1977), Ball (1992) Pourgerami and Maskus (1987) - + + - - + + - Inflation uncertainty causes output growth Friedman (1977) Dotsey and Sarte (2000) Inflation uncertainty causes inflation Cukierman and Meltzer (1986) Holland (1995) Inflation uncertainty causes growth uncertainty Taylor (1979) Growth uncertainty causes inflation Deveraux(1989) Growth uncertainty causes output growth Black (1987) Ramey and Ramey (1991) 3- A Bivariate GARCH Model of Inflation and Output Growth We use a bivariate GARCH model to simultaneously estimate the conditional means, variances, and covariances of inflation and output growth which has the following specification: (1) (2) (3) Where and denote the inflation rate and real output growth, respectively."